Financial economics, risk and information an introduction to methods and models /
Presenting a balanced blend of pure finance and contract theory in the presence of risk, alternative forms of information structures, and static and dynamic frameworks, this book provides an introduction to the use of stochastic methods in financial economics and finance. The following topics are co...
| Основен автор: | Bianconi, Marcelo, 1956- |
|---|---|
| Формат: | Електронен |
| Език: | English |
| Публикувано: |
Singapore ; River Edge, NJ :
World Scientific,
2003.
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| Предмети: | |
| Онлайн достъп: |
http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=514682 |
| Подобни документи: |
Print version::
Financial economics, risk and information. |
Съдържание:
- 1. Basic mathematical tools. 1.1. Introduction. 1.2. Integration. 1.3. Basic statistics. 1.4. Basic linear algebra. 1.5. Static optimization. 1.6. Notes on stochastic difference equations. 1.7. Dynamic optimization in discrete time: heuristics of dynamic programming in the certainty case. 1.8. Stochastic dynamic optimization in discrete time. 1.9. Notes on stochastic differential equations. 1.10. Stochastic dynamic optimization in continuous time. 1.11. Summary
- 2. Mean-variance approach to financial decision-making. 2.1. Introduction. 2.2. Portfolio mean return and variance. 2.3. The efficient frontier. 2.4. Two-fund theorem, the risk-free asset and one-fund theorem. 2.5. The pricing of assets in the mean-variance framework and the no-arbitrage theorem. 2.6. Summary.